Assets and Indices

FTSE® 100

The FTSE® 100 is a market-capitalisation weighted index representing the performance of the 100 largest UKdomiciled blue chip companies, which pass screening for size and liquidity. The index represents approximately 88% of the UK’s market capitalisation and is suitable as the basis for investment products, such as funds, derivatives and exchange-traded funds.

Source: FTSE.co.uk

European Public Real Estate Association (EPRA)

The FTSE EPRA/NAREIT Developed Europe Index is designed to track the performance of listed European real estate companies and Real Estate Investment Trusts (REITS). The index is designed to support the development of index linked products aimed at the broad equity investment market.

Source: EPRA.com

S&P 500®

The S&P 500® has been widely regarded as the best single gauge of the large cap U.S. equities market since the index was first published in 1927. As at 30 September 2010, the index has over US$ 3.5 trillion benchmarked, with index assets comprising approximately US$ 915 billion of this total. The index includes 500 leading companies in leading industries of the U.S. economy, capturing 75% coverage of U.S. equities as at 30 September 2010.

Source: standardandpoors.com

EURO STOXX 50®

The EURO STOXX 50®, one of Europe’s leading Blue-chip index for the Eurozone, provides a Blue-chip representation of supersector leaders in the Eurozone. The index covers 50 stocks from 12 Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Luxembourg, the Netherlands, Portugal and Spain. The EURO STOXX 50® is licensed to financial institutions to serve as underlying for a wide range of investment products such as Exchange Traded Funds (ETF), Futures and Options, and structured products worldwide.

Source: stoxx.com

Hang Seng

The Hang Seng Index is one of the earliest stock market indices in Hong Kong. Publicly launched on 24 November 1969, the HSI has become the most widely quoted indicator of the performance of the Hong Kong stock market.

Source: HSI.com

Standard & Poor’s Goldman Sachs Commodity Index (S&P GSCI®)

The S&P GSCI® is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. The returns are calculated on a fully collateralized basis with full reinvestment. The combination of these attributes provides investors with a representative and realistic picture of realizable returns attainable in the commodities markets.

Individual components qualify for inclusion in the S&P GSCI® on the basis of liquidity and are weighted by their respective world production quantities. The principles behind the construction of the index are public and designed to allow easy and cost-efficient investment implementation. Possible means of implementation include the purchase of S&P GSCI® related instruments, such as the S&P GSCI® futures contract traded on the Chicago Mercantile Exchange (CME) or over-the-counter derivatives, or the direct purchase of the underlying futures contracts.

Source: goldmansachs.com

RBS UK Balanced Sector Index

The RBS UK Balanced Sector Index seeks to provide “sector neutral” exposure to the performance of large companies in the UK. This means that exposure is spread across different market sectors of the UK economy. This principle aims to reduce the risk associated with individual sectors. The RBS UK Balanced Sector Index provides exposure to the sectors below by referencing the RBS UK Balanced Sector Core Index (the Reference Index).

The RBS UK Balanced Sector Index (the Underlying) is a specialist strategy designed by RBS which applies set rules as an “overlay” to the Reference Index. These overlay rules are designed to control and vary the level of exposure to the different sectors in the Reference Index to protect against some of the volatility exhibited in these sectors. Hence the performance of the RBS UK Balanced Sector Index will not be identical to that of the Reference Index.

Additionally, the Underlying automatically varies the level of exposure to the Sectors to take advantage of this trend with the aim of improving performance:

• Exposure is increased during periods of relatively low volatility aiming to benefit from any market growth in that period.
• Exposure is reduced during periods of relatively high volatility aiming to cushion the effect of any market decline in that period.

The Reference Index aims to spread exposure to companies across the following sectors:

• Basic materials
• Consumer Goods
• Consumer Services
• Financials
• Industrials
• Oil & Gas
• Technology
• Utilities
• Health care

Each sector contains up to 10 of the largest companies by market capitalisation (the total market value of all of a company’s outstanding shares) within that sector. The level of exposure to companies and sectors tracked by the Reference Index can change over time as the share prices of individual companies change. The Reference Index is rebalanced every 6 months to equalise exposure to the sectors and companies within each sector. On each rebalancing date the Reference Index will have equal exposure to the selected companies within each of the individual sectors. The rebalancing process helps to maintain an even spread across sectors and companies and aims to provide the opportunity to benefit from growth in the economy without favouring an individual sector or company.

This Reference Index was designed by the Royal Bank of Scotland N.V. and is maintained and calculated by Standard & Poor’s.

Source: indices.rbs.com

RBS Volatility Controlled Commodity Strategy Index

The RBS Volatility Controlled Commodity Strategy Index (the Underlying) aims to take advantage of the potential growth in international commodity prices from exposure to the Rogers International Commodity Index® EnhancedSM - Excess Return Index (the Reference Index). The Reference Index is designed to track changes in the value of a broad range of commodities required by the global economy including agriculture, energy and metals. Increases in the prices of commodities should positively impact the level of the index. This provides investors with the potential for commodity linked returns without having to invest in or purchase the physical commodities.

The Underlying is based on the performance of the Reference Index and controls its exposure to the Reference Index as volatility changes. In times of low volatility exposure is increased and as volatility increases exposure is reduced. The aim of this is to stabilise the returns whilst still benefitting from any growth.

The Rogers International Commodity Index® (RICI®) aims to be an effective measure of the price movement of raw materials (often referred to as commodities) from around the world. Designed by James B. Rogers, Jr. in the late 1990s, RICI® represents the value of a basket of 36 commodities consumed in the global economy. These include agricultural, energy and metal products.

Source: indices.rbs.com

RBS Volatility Controlled BRIC Index

The RBS Volatility Controlled BRIC Index (the Underlying) provides investors with access to some of the most liquid stocks of some of the largest companies that are domiciled or headquartered in Brazil, Russia, India or China.

The Underlying is based on the performance of the DAXGlobal BRIC TR (EUR) Index (the Reference Index). The Underlying controls its exposure to the Reference Index as volatility changes. In times of low volatility exposure is increased and as volatility increases exposure is reduced. Similarly, the Underlying also stops exposure to the Reference Index for 5 days if there is a sudden sharp rise in volatility combined with a downward movement in the Reference Index. The aim of these actions is to stabilise the returns whilst still benefitting from any growth.

The Reference Index tracks the performance of the shares of some of the largest companies from the four biggest emerging markets of the world: Brazil, Russia, India, and China, known as the BRIC economies.

The Reference Index is constituted of 40 of the biggest companies from the BRIC economies with each country represented through ten companies. The 40 companies making up the Index are reviewed and, if necessary, amended in September each year with the 10 top companies by market capitalisation for each of the four economies being selected. However, before inclusion in the Reference Index there is a further check so that only companies’ shares with an average daily trading turnover in excess of US$ 1million over the previous six months are included. If a particular share is omitted on this basis, the next largest company from that economy which meets the other selection criteria is used.

The Index is re-weighted on a quarterly basis such that exposure to any one economy is not greater than 35% of the total index exposure and exposure to any one company’s shares is limited to 10%. This weighting applies only on the reweighting dates.

Source: indices.rbs.com